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Idiosyncratic volatility and equity returns : UK evidence

Angelidis, Timotheos; Tessaromatis, Nikolaos P. - In: International review of financial analysis 17 (2008) 3, pp. 539-556

Persistent link: https://www.econbiz.de/10003764468

Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets

Liu, Lu - In: International review of financial analysis 33 (2014), pp. 39-48

Persistent link: https://www.econbiz.de/10010520085

Value-at-risk and extreme returns

Daníelsson, Jón; Vries, Casper G. de - 1997

Accurate prediction of the frequency of extreme events is of primary importance in many financialapplications such as Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled parametrically, while smaller risks are captured by the...

Persistent link: https://www.econbiz.de/10010533206

Reinsurance decisions in life insurance : an empirical test of the risk-return criterion

Veprauskaite, Elena; Sherris, Michael - In: International review of financial analysis 35 (2014), pp. 128-139

Persistent link: https://www.econbiz.de/10010529617

Value-at-risk and extreme returns

Daníelsson, Jón; Vries, Casper G. de - 1998

Persistent link: https://www.econbiz.de/10000980737

Intraday risk management in International stock markets : a conditional EVT approach

Karmakar, Madhusudan; Paul, Samit - In: International review of financial analysis 44 (2016), pp. 34-55

Persistent link: https://www.econbiz.de/10011623805

Reviewing the hedge funds literature II : hedge funds' returns and risk management characteristics

El Kalak, Izidin; Azevedo, Alcino; Hudson, Robert - In: International review of financial analysis 48 (2016), pp. 55-66

Persistent link: https://www.econbiz.de/10011624396

Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management

Tsuji, Chikashi - In: International review of financial analysis 70 (2020), pp. 1-31

Persistent link: https://www.econbiz.de/10012318292

Measuring systemic risk contribution of global stock markets : a dynamic tail risk network approach

Wang, Ze; Gao, Xiangyun; Huang, Shupei; Sun, Qingru; … - In: International review of financial analysis 84 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013472796

Climate reputation risk and abnormal returns in the stock markets : a focus on large emitters

Guastella, Gianni; Mazzarano, Matteo; Pareglio, Stefano; … - In: International review of financial analysis 84 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10013472811